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Pina · 2022年04月18日

minimize tracking error

NO.PZ2018120301000022

问题如下:

Molly notes that SD&R generally uses actively managed portfolios designed to earn a return in excess of the benchmark portfolio. For clients interested in passive exposure to ­fixed-income instruments, SD&R offers two additional approaches.

  • Approach 1: Seeks to fully replicate a small range of benchmarks consisting of government bonds.
  • Approach 2: Follows an enhanced indexing process for a subset of the bonds included in the Bloomberg Barclays US Aggregate Bond Index. Approach 2 may also be customized to reflect client preferences.
Relative to Approach 1 of gaining passive exposure, an advantage of Approach 2 is that it:

选项:

A.

minimizes tracking error.

B.

requires less risk analysis.

C.

is more appropriate for socially responsible investors.

解释:

Correct Answer: C

C is correct. Enhanced indexing is especially useful for investors who consider environmental, social, or other factors when selecting a fixed-income portfolio. Environmental, social, and corporate governance (ESG) investing, also called socially responsible investing, refers to the explicit inclusion or exclusion of some sectors, which is more appropriate for an enhanced index strategy relative to a full index replication strategy. In particular, Approach 2 may be customized to reflect client preferences.


老师好enhanced indexing 的好处不是还包括minimize tracking error. 为什么不选A?谢谢。

1 个答案
已采纳答案

lynn_品职助教 · 2022年04月19日

嗨,努力学习的PZer你好:


Approach 1是完全复制一个包括政府债的benchmark,属于pure indexing,相比之下pure indexing的跟踪误差是最小的。虽然minimize tracking error是enhanced indexing优点之一,但在这里不存在比较优势。因此这道题不能选A。

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